- FAM-news - TU FAM Mailing lists

reminder for upcoming seminars and talks
by Sandra Trenovatz 12 Feb '18

12 Feb '18

------------------------------------------------------------------------ Veranstaltungsreihe "Actuarial Modelling Club" ------------------------------------------------------------------------ Di., 13.02.2017, 16:30, Freihaus Hörsaal 8 (Nöbauer Hörsaal) TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2.OG, gelber Bereich Klaus Wegenkittl (ERGO Versicherung) "PRIIP Basisinformationsblätter in der Lebensversicherung - Inhalt und Berechnungsmethoden" (Actuarial Modelling Club) Details zu Vortrag und _Anmeldung_ siehe: https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ Save the date: VCMF 2019 ------------------------------------------------------------------------ 2nd Vienna Congress on Mathematical Finance 2019 & VCMF Educational Workshop (jointly organised by TU Wien, University of Vienna and WU Vienna) WU Vienna, Monday-Friday, September 9-13, 2019 https://fam.tuwien.ac.at/vcmf2019/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 19 Jan '18

19 Jan '18

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 22.01.2018, 16:45, lecture hall HS 7 Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Jean-Michel Zakoian (CREST, Paris) http://www.crest.fr/ses.php?user=3078 "Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models" (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (6.511, 6th floor) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 25.01.2018, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Omar El-Euch (Univ. Pierre et Marie Curie - Paris 6) https://fr.linkedin.com/in/omar-el-euch-2a699746 "Multi-factor approximation of rough volatility models" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 11 Jan '18

11 Jan '18

------------------------------------------------------------------------ University of Vienna, Faculty of Mathematics ------------------------------------------------------------------------ We., 10.1.2018, 16:15-17:15, Sky Lounge Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 12th floor Mathieu Rosenbaum (Ecole Polytechnique) http://www.crest.fr/ses.php?user=3046 "Understanding the nature of volatility" (Mathematisches Kolloquium) 15:45 coffee & cake, Sky-Lounge bread & wine after the talk For further details (including abstracts) see http://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortraege… ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 11.01.2018, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Matthias Meiners (University of Innsbruck) https://stochastics-mathematics.uibk.ac.at/index.php/staff/scientificstaff/… "Convergence of Biggins' martingales at complex parameters" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 12.01.2018, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Eric Finn Schaanning (ETH Zürich) https://www.math.ethz.ch/the-department/people.html?u=ericsc "Measuring systemic risk: The Indirect Contagion Index" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Oesterreichische Nationalbank ------------------------------------------------------------------------ Fr., 12.01.2018, 11:00, Veranstaltungssaal Österreichische Nationalbank, Otto-Wagner-Platz 3, 1090 Vienna Bernhard Haslhofer (Austrian Institute of Technology) http://bernhardhaslhofer.info/ "O Bitcoin, Where Art Thou? Insight into Large-Scale Transaction Graphs" OeNB Research seminar: https://www.oenb.at/en/Monetary-Policy/Research/research-seminars.html ------------------------------------------------------------------------

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upcoming talk (tomorrow/Wednesday)
by Sandra Trenovatz 19 Dec '17

19 Dec '17

------------------------------------------------------------------- Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------- Wednesday(!), 20.12.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Alexander Cox (University of Bath, UK) http://people.bath.ac.uk/mapamgc/ "Measure-value martingales (or martingale measures), and financial applications" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ -------------------------------------------------------------------

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talk tomorrow/Friday
by Sandra Trenovatz 14 Dec '17

14 Dec '17

------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 15.12.2017, 11:00, room D3.0.225 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Jean-Pierre Zigrand (London School of Economics, UK) http://www.lse.ac.uk/Finance/People/Faculty/Zigrand "Systemic Risk and the Dynamics of Temporary Financial Networks" (Finance Research Seminar) For further details (including abstracts) see http://www.vgsf.ac.at/index.php?id=172 To find the room on the WU Campus search for "D3.0.225" on: http://gis.wu.ac.at/?roomShow=D3.0.225 ------------------------------------------------------------------------ Season's greetings and best wishes for the New Year from the FAM-ily (FAM @ TU Wien) http://fam.tuwien.ac.at/

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reminder for upcoming seminars and talks
by Sandra Trenovatz 11 Dec '17

11 Dec '17

------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ We., 13.12.2017, 12:30, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Stefan Weber (Leibniz Universität Hannover, DE) https://www.stochastik.uni-hannover.de/weber.html "Pricing of Cyber Insurance Contracts in a Network Model" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ TU Wien: Colloquium in Statistics and Mathematical Methods in Economics ------------------------------------------------------------------------ We., 13.12.2017, 16:30, seminar room DB gelb 05 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 5th floor, yellow area Martin Kerndler (TU Wien) http://www.econ.tuwien.ac.at/mkerndler/ "Contracting Frictions and Inefficient Layoffs of Older Workers" (Colloquium in Statistics and Mathematical Methods in Economics) For further details (including abstracts) see https://swm.tuwien.ac.at/colloquium.php ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 14.12.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Ilya Molchanov (University of Bern, CH) http://www.imsv.unibe.ch/about_us/staff/prof_dr_molchanov_ilya/ "The semigroup of metric measure spaces and its infinitely divisible measure" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ ------------------------------------------------------------------------ Save the date (next year) ------------------------------------------------------------------------ 7th Austrian Stochastics Days 2018 WU Vienna Thursday-Friday, September 13-14, 2018 ------------------------------------------------------------------------ Save the date (in two years) ------------------------------------------------------------------------ 2nd Vienna Congress on Mathematical Finance 2019 & VCMF Educational Workshop (jointly organised by TU Wien, University of Vienna and WU Vienna) WU Vienna Monday-Friday, September 9-13, 2019(!) ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 01 Dec '17

01 Dec '17

------------------------------------------------------------------------ Announcement of a Habilitation Talk at WU Wien ------------------------------------------------------------------------ Th., 07.12.2017, 14:00, Sitzungssaal 2 (AD.0.122) WU Wien, 1020, Welthandelsplatz 1, Building AD, ground floor Zehra Eksi (WU Wien) https://www.wu.ac.at/statmath/faculty-staff/faculty/zeksi/ "Continuous-time Partial Information Models in Finance: Inference and Applications" (Public Habilitation Talk / Habilitationskolloquium) To find the room on the WU Campus search for "AD.0.122" on: http://gis.wu.ac.at/?roomShow=AD.0.122 ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 07.12.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Tongseok Lim (University of Oxford, UK) https://www.maths.ox.ac.uk/people/tongseok.lim "Dual attainment problem for Martingale Optimal Transport" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 27 Nov '17

27 Nov '17

------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at Univ. Wien ------------------------------------------------------------------------ Th., 30.11.2017, 10:00, Besprechungszimmer University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 9th floor Anastasiia Zalashko (University of Vienna) "Causal optimal transport: theory and applications" (Public PhD Thesis Defense) For further details (including abstracts) see http://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortraege… ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 30.11.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Julio Backhoff (TU Wien) https://sites.google.com/site/juliobackhoff/ "Martingale Benamou-Brenier: a probabilistic perspective" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ======================================================================== Additionally to talks of this week this time I refer to regular research seminars in Vienna, webpages with events announcements, mailing lists and further information. ------------------------------------------------------------------------ VS-MFP - Vienna Seminar in Mathematical Finance and Probability (FAM & MSTOCH @ TU Wien, MFP @ UniVie, StatMath @ WU Vienna) https://fam.tuwien.ac.at/vs-mfp/ Research Seminar - Statistics and Mathematics (Institute for Statistics and Mathematics, WU Vienna) https://www.wu.ac.at/en/statmath/research/resseminar/ Finance Research Seminar of the VGSF (Vienna Graduate School of Finance) http://www.vgsf.ac.at/events/finance-research-seminar/ Finance Brown Bag Seminar (Institute for Finance, Banking and Insurance, WU Wien, and VGSF) https://www.wu.ac.at/en/finance/research/brown-bag-seminar/ Brown Bag Seminar (Department of Finance, University of Vienna) http://finance.univie.ac.at/en/research/brown-bag-seminar/ ISOR Colloquium (Department of Statistics and Operations Research, University of Vienna) https://isor.univie.ac.at/colloquia-seminars/ OeNB Research Seminars (Oesterreichische Nationalbank) http://www.oenb.at/en/Monetary-Policy/Research/research-seminars.html SWM Colloqium (Statistics and Mathematical Methods in Economics, TU Wien) https://swm.tuwien.ac.at/colloquium.php WPI-Events (Wolfgang Pauli Institute, Vienna) http://www.wpi.ac.at/activities_view.php?s=event PDE Afternoon - former: DK Seminar (Doctoral Program Dissipation and Dispersion in Nonlinear PDEs) http://npde.tuwien.ac.at/?open=StatSem SFB5 Events (Special Research Program F65 "Taming Complexity in Partial Differential Systems) https://www.univie.ac.at/sfb65/public/events/ [current topics: Nonlinear Evolution PDEs, Stochastic Processes and Stochastic Differential Equations, Optimal Transportation] ESI Activities (Erwin Schrödinger Institute, Vienna) https://www.esi.ac.at/activities Continuing Professional Development (CPD) for actuaries [mainly german] (FAM @ TU Wien) https://fam.tuwien.ac.at/cpd/ Corresponding mailing list: https://fam.tuwien.ac.at/mailman/listinfo/fam-vr Vienna Finance Newsletter (VFN-L) ... is a mailing list for announcements of lectures, conferences (and more) about finance and economics with a focus on Vienna, Austria. https://fam.tuwien.ac.at/mailman/listinfo/vfn-l FAM-jobs - Job-offers in the area of Financial and Actuarial Mathematics in Austria http://fam.tuwien.ac.at/jobs/ Corresponding mailing list: https://fam.tuwien.ac.at/mailman/listinfo/fam-jobs ------------------------------------------------------------------------ You got this email because you are subscribed to the mailing list FAM-news. The FAM-news mailing list announces talks and events in the area of financial and actuarial mathematics of the Research Unit Financial and Actuarial Mathematics (FAM) at TU Wien and other departments, universities & institutions in Vienna. There is usually one email per week with the upcoming events. If you have new colleagues who might be interested in this weekly information please tell that they can subscribe (and unsubscribe) on their own: https://fam.tuwien.ac.at/mailman/listinfo/fam-news For any questions concerning the FAM-news mailing list please do not hesitate to contact me (Sandra Trenovatz <sandra(a)fam.tuwien.ac.at>). ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 10 Nov '17

10 Nov '17

------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 17.11.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Johanna F. Ziegel (University of Bern, CH) http://www.imsv.unibe.ch/about_us/staff/prof_dr_ziegel_johanna_f/ "Elicitability and backtesting: Perspectives for banking regulation" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 03 Nov '17

03 Nov '17

------------------------------------------------------------------------ TU Wien, Reserach Unit Computational Statistics ------------------------------------------------------------------------ Mo., 6.11.2017, 10:30, seminar room 107/1 TU Wien, 1040, Wiedner Hauptstr. 7, "Goldenes Lamm", 1st floor Tim Verdonck (KU Leuven) https://www.kuleuven.be/wieiswie/c/en/person/00071962 "Robust methods for claims reserving" For further details (including abstracts) see https://institute.tuwien.ac.at/fileadmin/t/compstat/upload/vortr_verdonck.p… ------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 6.11.2017, 16:45, lecture hall HS 7 Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor René Henrion (WIAS Berlin) http://www.wias-berlin.de/people/henrion/ "Probabilistic Constraints in infinite dimensions" (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (6.511, 6th floor) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 09.11.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Walter Schachermayer (University of Vienna) https://www.mat.univie.ac.at/~schachermayer/ "The amazing power of dimensional analysis: Quantifying market impact" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ TU Wien: 50 Years Statistics and Probability Theory ------------------------------------------------------------------------ Fr., 10.11.2017, 09:00-13:00, Festsaal (Festival Hall), Main Building of TU Wien, staircase 1, 1st floor, Karlsplatz 13, 1040 Wien "50 Years Statistics and Probability Theory" Organisers: Mathias Beiglböck (MSTOCH @ TU Wien) Efstathia Bura (ASTAT @ TU Wien) Peter Filzmoser (CSTAT @ TU Wien) Keynote Speakers: Prof. Max von Renesse (University of Leipzig) Prof. Peter Rousseeuw (KU Leuven) For further programm & registration(!) see http://cstat.tuwien.ac.at/filz/fest50/ or https://fam.tuwien.ac.at/events/temp/invitation50.pdf [Fast registration is highly appreciated.] ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 10.11.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Natesh S. Pillai (Harvard University, USA) http://www.people.fas.harvard.edu/~pillai/ "Bayesian Factor Models in High Dimensions" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 10.11.2017, 11:00, room D3.0.225 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor David Lando (Copenhagen Business School) https://sf.cbs.dk/dlando "t.b.a." (Finance Research Seminar) For further details (including abstracts) see http://www.vgsf.ac.at/index.php?id=172 To find the room on the WU Campus search for "D3.0.225" on: http://gis.wu.ac.at/?roomShow=D3.0.225 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 17 Oct '17

17 Oct '17

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 19.10.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Beatrice Acciaio (London School of Economics, UK) http://beatrice-acciaio.net/ "Dynamic Cournot-Nash equilibrium via non-anticipative optimal transport" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 20.10.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Josef Teichmann (ETH Zürich) https://people.math.ethz.ch/~jteichma/ "Machine Learning in Finance" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 09 Oct '17

09 Oct '17

------------------------------------------------------------------------ FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics ------------------------------------------------------------------------ Tu., 10.10.2017, 16:30, Böcklsaal TU Wien, 1040, Karlsplatz 13, Hauptgebäude, Stiege 1, 1. Stock Sabrina Mulinacci (University of Bologna, IT) https://www.unibo.it/sitoweb/sabrina.mulinacci/ "Generalizations of the Marshall-Olkin distribution and applications" (Vortragsreihe in Finanz- und Versicherungsmathematik) Due to limited space we ask for registration! For further details (including abstracts) see: https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ TU Wien: Colloquium in Statistics and Mathematical Methods in Economics ------------------------------------------------------------------------ We., 11.10.2017, 16:30, seminar room DB gelb 04 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, yellow area Sabrina Mulinacci (University of Bologna, IT) https://www.unibo.it/sitoweb/sabrina.mulinacci/ "C-convolution based stochastic processes in discrete time and financial prices dynamics" (Colloquium in Statistics and Mathematical Methods in Economics) For further details (including abstracts) see https://swm.tuwien.ac.at/colloquium.php ------------------------------------------------------------------------ TU Wien: Colloquium in Statistics and Mathematical Methods in Economics ------------------------------------------------------------------------ Th., 12.10.2017, 10:00, lecture hall FH Hörsaal 7 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow area Hannu Oja (University of Turku, FI) http://users.utu.fi/hfvoja/ "Independent component analysis using third and fourth cumulants" (Colloquium in Statistics and Mathematical Methods in Economics) For further details (including abstracts) see https://swm.tuwien.ac.at/colloquium.php ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 12.10.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Gaoyue Guo (University of Oxford, UK) https://www.maths.ox.ac.uk/people/gaoyue.guo "Numerical computation of martingale optimal transportation" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Recruitment talks for professorhip 'Stochastics' at Univ. of Vienna ------------------------------------------------------------------------ Fr., 13.10.2017 - Di., 19.10.2017, Sky Lounge University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 12th floor Hendrik Weber (Univ. of Warwick) Mykhaylo Shkolnikov (Princeton) Vadim Kaloshin (University of Maryland) Nicolas Perkowski (Humboldt-Universität zu Berlin) For all details including abstracts see https://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortraeg… ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 29 Sep '17

29 Sep '17

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 05.10.2017, 16:30, seminar room SR11 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Oleg I. Klesov and Elena Timoshenko (National Technical University of Ukraine) http://matan.kpi.ua/en/people/klesov/ "Generalized renewal processes with applications to stochastic differential equations" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 6.10.2017, 09:00, seminar room D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Efstathia Bura (TU Wien) http://astat.tuwien.ac.at/bura/ "Near-equivalence in Forecasting Accuracy of Linear Dimension Reduction Methods in Large Panels of Macro-variables" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see https://www.wu.ac.at/en/statmath/research/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ======================================================================== A week later ... ======================================================================== FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics ------------------------------------------------------------------------ Tu., 10.10.2017, 16:30, Seminarraum DB gelb 03 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 3rd floor, yellow section Sabrina Mulinacci (University of Bologna, IT) https://www.unibo.it/sitoweb/sabrina.mulinacci/ "Generalizations of the Marshall-Olkin distribution and applications" (Vortragsreihe in Finanz- und Versicherungsmathematik) Due to limited space we ask for registration! For further details (including abstracts) see: https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ Erwin Schrödinger Int. Institute for Mathematics and Physics (ESI) ------------------------------------------------------------------------ Mo.-Fr., October 9-13, 2017, ESI, Boltzmanngasse 9, 1090 Wien Workshop 2 - Tractability of high dimensional problems A few of the talks might be interesting for people in the area of financial mathematics, e.g., David Krieg "Optimal Monte Carlo Methods for L2-Approximation" (10.10.2017, 16:00-16:30) Michaela Szölgyenyi "Strong convergence of the Euler-Maruyama scheme for SDEs with discontinuous drift" (11.10.2017, 10:30-11:00) Andreas Neuenkirch "An adaptive Euler scheme for SDEs with discontinuous drift coefficients" (11.10.2017, 11:00-11:30) Arnulf Jentzen "Stochastic approximation algorithms for second-order parabolic partial differential equations" (12.10.2017, 11:30-12:00) Paweł Przybyłowicz "Recent developments in optimal global approximation of solutions of jump-diffusion SDEs" (12.10.2017, 16:00-16:30) For program (all talks) please see: https://esi2017.wordpress.com/participants-workshop-2/ There is no official registration, but due to limited space we suggest to write an email to secr(a)esi.ac.at and tell which talk(s) you will attend. ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 18 Sep '17

18 Sep '17

------------------------------------------------------------------------ WU Wien, Institute for Finance, Banking and Insurance ------------------------------------------------------------------------ Mo., 18.09.2017, 16:00-17:15, 12:00, room D4.0.039 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor Lasse H. Pedersen (Copenhagen Business School) http://www.lhpedersen.com/ "Efficiently Inefficient Markets for Assets and Asset Management" (Finance Brown Bag Seminar) For further details (including abstracts) see https://www.wu.ac.at/en/finance/research/brown-bag-seminar/ To find the room on the WU Campus search for "D4.0.039" on: http://gis.wu.ac.at/?roomShow=D4.0.039 ------------------------------------------------------------------------ University of Vienna, guest of W. Schachermayer ------------------------------------------------------------------------ Tu., 19.09.2017, 16:30, 'Besprechungszimmer 2' University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Mikio Kato (Kyushu Institute of Technology, JP) https://www.researchgate.net/profile/Mikio_Kato "Some inequalities in the Banach space geometry" For abstract see http://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortraege… ------------------------------------------------------------------------ Recruitment talks for professorhip 'Stochastics' at Univ. of Vienna ------------------------------------------------------------------------ We., 20.9.2017 - Fr., 22.9.2017, 'Dekanatsbesprechungszimmer' University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 11th floor Noam Berger (TU München) Nathanaël Berestycki (University of Cambridge) Andreas Kyprianou (University of Bath) Erika Hausenblas (Montanuniversität Leoben) Martina Hofmanová (TU Berlin) For all details including abstracts see https://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortraeg… ------------------------------------------------------------------------ TU Wien, "Actuarial Modelling Club" (nächste Woche - U.A.w.g.) ------------------------------------------------------------------------ Di., 26.9.2017, 16:30, Freihaus Hörsaal 8 (Nöbauer Hörsaal) TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2.OG, gelber Bereich Marc Linde (BELTIOS P&C GmbH, Köln) "Erfahrungen mit der versicherungsmathematischen Funktion in Schaden/Unfall" (Actuarial Modelling Club) Details zu Vortrag und Anmeldung siehe: https://fam.tuwien.ac.at/vr/20170926.php ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 17 Jul '17

17 Jul '17

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ We., 19.7.2017, 11:00-12:00, seminar room DB gelb 04 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, yellow section, 4th floor Peter Friz (TU Berlin, DE) http://page.math.tu-berlin.de/~friz/ "General semimartingales and rough paths" [The talk is intended to be a rough paths teaser for non-specialists] (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 25 Jun '17

25 Jun '17

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 29.6.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Elisa Alos (Universitat Pompeu Fabra, Barcelona, ES) https://econ.upf.edu/es/entry/-/-/11640/403/elisa-al%C3%B2s "On the relationship between implied volatilities and volatility swaps: a Malliavin calculus approach" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 29.6.2017, 17:15, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Ramin Okhrati (University of Southampton, GB) http://www.southampton.ac.uk/maths/about/staff/ro1d12.page "Hedging of defaultable securities under partial asset observation" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 16 Jun '17

16 Jun '17

------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at TU Wien ------------------------------------------------------------------------ Mo., 19.6.2017, 12:00, seminar room DA grün 05, TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, green section, 5th floor Arpad Pinter (FAM @ TU Wien) "Small-Time Asymptotics, Moment Explosion and the Moderate Deviations Regime" (Public PhD Thesis Defense) For further details (including abstracts) see https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Tu., 20.6.2017, 16:30, seminar room DA grün 06A TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Alexander Steinicke (University of Graz, Austria) https://www.uibk.ac.at/mathematik/personal/steinicke/steinicke.html "Backward Stochastic Differential Equations and Applications" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 22.6.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Châu Ngọc Huy (Alfréd Rényi Institute of Mathematics, HU) https://sites.google.com/site/chaungochuyvn/ "On fixed gain recursive estimators with discontinuity in the parameters" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ======================================================================== ÖMG-DMV Congress in Salzburg ------------------------------------------------------------------------ 19th ÖMG Congress oand Annual DMV Meeting Paris-Lodron University of Salzburg September 11-15, 2017 ---- Public lecture by Walter Schachermayer http://oemg-dmv-2017.sbg.ac.at/index.php/program/public-lecture Sections: S13. Probability Theory: (organised by Mathias Beiglböck & Peter Friz) S15. Financial and Actuarial Mathematics (organised by Gerhard Larcher & Jan Kallsen) http://oemg-dmv-2017.sbg.ac.at/index.php/program/sections ---- SUBMISSION possible until June 30, 2017 through the online registration system: https://cats.host/oemg-dmv2017/cats2/cats21/src/login/ (http://oemg-dmv-2017.sbg.ac.at/index.php/registration-abstract-submission) ------------------------------------------------------------------------

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reminder for upcoming events
by Sandra Trenovatz 10 Jun '17

10 Jun '17

------------------------------------------------------------------------ TU Wien & AVÖ: IME 2017 ------------------------------------------------------------------------ 21st International Congress on Insurance: Mathematics and Economics Vienna, July 3-5, 2017 IME Educational Workshop Vienna, July 6-7, 2017 REGISTRATION DEADLINE: June 20, 2017 For details see: https://fam.tuwien.ac.at/ime2017/ ------------------------------------------------------------------------ Wolfgang Pauli Institute (WPI) ------------------------------------------------------------------------ Second Conference on the Mathematics of Energy Markets Vienna, July 4-6, 2017 Pre-Conference Intensive Course by Prof. Almut Veraart Vienna, July 3, 2017 REGISTRATION DEADLINE: June 15, 2017 For details see: http://www.mn.uio.no/math/english/research/groups/store/events/conferences/… ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 06 Jun '17

06 Jun '17

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Tu., 6.6.2017, 16:30, seminar room DA grün 06A TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Marcel Nutz (Columbia University, USA) http://www.math.columbia.edu/~mnutz/ "A Mean-Field Competition" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Finance, Banking and Insurance ------------------------------------------------------------------------ Tu., 6.6.2017, 12:00, room SR D4.0.133 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor Philipp Illeditsch (Univ. of Pennsylvania, US) https://fnce.wharton.upenn.edu/profile/pille/ "Disagreement about Inflation and the Yield Curve" (Brown Bag Seminar) For further details (including abstracts) see https://www.wu.ac.at/en/finance/research/brown-bag-seminar/summer-term-2017/ To find the room on the WU Campus search for "D4.0.133" on: http://gis.wu.ac.at/?roomShow=D4.0.133 ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 8.6.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Alexander Drewitz (Universität zu Köln, DE) http://www.mi.uni-koeln.de/~drewitz/ "Sign clusters of the Gaussian free field percolate on ℤ^d, d ≥ 3" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 9.6.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Tobias Fissler (University of Bern) http://www.imsv.unibe.ch/ueber_uns/personen/dr_fissler_tobias/ "Testing the maximal rank of the volatility process for continuous diffusions observed with noise" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 -------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 26 May '17

26 May '17

------------------------------------------------------------------------ WU Wien, Institute for Finance, Banking and Insurance ------------------------------------------------------------------------ Tu., 30.6.2017, 12:00, seminar room TC.5.04 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor Yuri Tserlukevich (Arizona State University) https://isearch.asu.edu/profile/1451080 "Embracing Risk: Hedging Policy for Firms with Real Options" (Brown Bag Seminar) For further details (including abstracts) see https://www.wu.ac.at/en/finance/research/brown-bag-seminar/summer-term-2017/ To find the room on the WU Campus search for "TC.5.04" on: http://gis.wu.ac.at/?roomShow=TC.5.04 ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 1.6.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Giovanni Conforti (Université Lille 1, FR) https://sites.google.com/site/giovanniconfort/ "The bridges of the Langevin dynamics" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 1.6.2017, 17:15, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Daniel Lacker (Brown University, USA) http://www.dam.brown.edu/people/dlacker/ "Mean field games of timing and models for bank runs" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Gastvortrag in Student_innen-Seminar im Bereich Ökonomie ------------------------------------------------------------------------ Fr., 9.6.2017, 12:00 - max. 13:30, Seminarraum DB gelb 09 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 9. Stock, gelber Bereich Alexander Haider (zeb - Managementberatung im Bereich Financial Services, Wien) "Versicherungsvertrieb der Zukunft – ein Simulationsmodell" Abstract: Die Versicherungswelt befindet sich aufgrund mehrerer gleichzeitig wirkender Megatrends unter erheblichem Druck – eine bereits sehr lange andauernde Niedrigzinsphase, FinTech Start-Ups, immer weitreichendere und handlungsspielraumminimierende regulatorische Anforderungen aber auch insbesondere die demografisch Entwicklung in Österreich bedrängen das Versicherungsgeschäft. Eine klare, transparente Quantifizierung dieser Entwicklungen ist daher unabdingbar für Versicherungsunternehmen, um als relevanter Marktteilnehmer bestehen zu können. Das von zeb entwickelte Simulationsmodell ist ein Tool, welches Versicherungsunternehmen hilft, die Auswirkungen dieser Megatrends auf das eigene Geschäftsmodell in die Zukunft zu projizieren. Notwendige Handlungsbedarfe werden dadurch offengelegt und Strategien für eine zukunftsorientierte Entwicklung können abgeleitet werden. Den Kern dieses Simulationsmodells stellt die Projektion der demografischen Entwicklung des Kundenstamms dar: Entlang der demografischen Entwicklung von Deutschland und Österreich wird die demografische Entwicklung des Kundenstamms einer Versicherung simuliert. Die Simulation der Bevölkerung bzw. des Kundenstamms kann durch Variation von Parametern für Migration, Geburtenraten, Kundengewinnund Kundenabgangsquoten adjustiert werden. Darüber hinaus werden zur Modellierung der Geschäftsstruktur auch die Produktnutzung, Prämieneinnahmen sowie Provisionen in die Simulation des Versicherungsvertriebs miteinbezogen. Die Auswertung kann dabei individuell pro Vertriebsweg aber auch aggregiert über das Gesamtunternehmen erfolgen. ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 19 May '17

19 May '17

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 22.5.2017, 16.45-17.45, Lecture Hall 7 (HS 7 OMP1, #01.303) Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Siem Jan Koopman (VU Amsterdam) http://sjkoopman.net/ "Dynamic Discrete Copula Models for High Frequency Stock Price Changes" (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (6th floor, #6.511) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 17 May '17

17 May '17

To Whom it May Concern: yesterday another talk was fixed for this week's Vienna Seminar in Mathematical Finance and Probability. I am very sorry for the short notice. Kind regards, Sandra ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 18.05.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Ting-Kam Leonard Wong (University of Southern California, USA) http://www-bcf.usc.edu/~tingkamw/ "From optimal rebalancing to information geometry" Abstract: What is the optimal frequency to rebalance a portfolio? For the class of functionally generated portfolios in stochastic portfolio theory, we show that the answer is given in terms of a "dualistic" Pythagorean theorem. Along the way, we establish fascinating connections with optimal transport and information geometry - the differential geometry of probability distributions. A key role is played by the concept of L-divergence which generalizes the diversification return (aka excess growth rate) of a portfolio. Our results extend the classical information geometry of Bregman divergence developed by Amari and others. This is joint work with Soumik Pal. Vienna Seminar in Mathematical Finance and Probability https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 19.05.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Johanna Nešlehová & Christian Genest (McGill Univ., Canada) http://www.math.mcgill.ca/neslehova/ http://www.math.mcgill.ca/cgenest/ "Modeling clusters of extremes" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 15 May '17

15 May '17

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 15.5.2017, 16.45-17.45, Lecture Hall 7 (Hörsaal 7) Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 1st floor Kim Christensen (Aarhus University, Denmark) http://pure.au.dk/portal/en/persons/id%2851486b6c-9bf2-4468-8be2-0fa1c28be8… "The Drift Burst Hypothesis" (ISOR Colloquium) The seminar is preceded by tea and coffee with the speaker in the ISOR meeting room (6th floor) at 16.15. For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 19.05.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Johanna Nešlehová & Christian Genest (McGill Univ., Canada) http://www.math.mcgill.ca/neslehova/ http://www.math.mcgill.ca/cgenest/ "Modeling clusters of extremes" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 08 May '17

08 May '17

------------------------------------------------------------------------ TU Wien: Colloquium in Statistics and Mathematical Methods in Economics ------------------------------------------------------------------------ Tu., 9.5.2017, 16:30, seminar room DB gelb 04 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, yellow section Bernt Øksendal (University of Oslo) http://www.mn.uio.no/math/english/people/aca/oksendal/ "Optimal insider control of stochastic partial differential equations, with applications to optimal harvesting and optimal insider portfolio under noisy observations" (Colloquium in Statistics and Mathematical Methods in Economics) For further details (including abstracts) see https://swm.tuwien.ac.at/colloquium.php ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 11.5.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Ales Cerny (Cass Business School, UK) https://www.martingales.sk/ "Convex duality and Orlicz spaces in expected utility maximization" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 12.05.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Nikolaus Hautsch (Universität Wien) https://homepage.univie.ac.at/nikolaus.hautsch/ "Volatility, Information Feedback and Market Microstructure Noise: A Tale of Two Regimes" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 28 Apr '17

28 Apr '17

To Whom It May Concern: this time - additionally to scientific events - we announce an open position at University of Vienna: Full Professorship in "Stochastics" https://fam.tuwien.ac.at/jobs/Stochastics__Univ_of_Vienna.pdf Universitätsprofessur für "Stochastik" https://fam.tuwien.ac.at/jobs/Stochastik__Universitaet_Wien.pdf For open positions in the area of Financial and Actuarial Mathematics in Austria you can have a look at FAM-jobs: https://fam.tuwien.ac.at/jobs/. Further job announcements are welcome. Best regards, Sandra ------------------------------------------------------------------------ WU Wien, Institute for Finance, Banking and Insurance ------------------------------------------------------------------------ Tu., 2.5.2017, 12:00, room SR D4.0.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor Leopold Sögner (Institute for Advanced Studies, IHS) https://elaine.ihs.ac.at/~soegner/ "Making Parametric Portfolio Policies Work" (joint with Thomas Gehrig and Arne Westerkamp) (Finance Brown Bag Seminar) For further details (including abstracts) see https://www.wu.ac.at/en/finance/research/brown-bag-seminar/summer-term-2017/ To find the room on the WU Campus search for "D4.0.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 4.5.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Zehra Eksi (WU Wien) https://www.wu.ac.at/statmath/faculty-staff/faculty/zeksi/ "Portfolio optimization: a pure jump model with unobservable characteristics and linear market impact" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 5.5.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Gernot Müller (Institut für Mathematik, Universität Augsburg) https://www.math.uni-augsburg.de/prof/csda/arbeitsgruppe/mueller/ "Modelling electricity prices using processes with time-varying parameters" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ======================================================================== IME 2017 - SUBMISSION DEADLINE: APRIL 30, 2017 ------------------------------------------------------------------------ 21st International Congress on Insurance: Mathematics and Economics & IME Educational Workshop Vienna, July 3-5 & 6-7, 2017 https://fam.tuwien.ac.at/ime2017/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 23 Apr '17

23 Apr '17

------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at University of Vienna ------------------------------------------------------------------------ Mo., 24.04.2017, 11:30, "Besprechungszimmer 3. Stock" Uni Wien, 1090 Wien, Oskar-Morgenstern-Platz 1, 3rd floor Lingqi Gu (University of Vienna) "Portfolio Optimization: the Dual Optimizer and Stability" (Public PhD Thesis Defense) For further details (including abstract) see https://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/Vortraeg… ------------------------------------------------------------------------ University of Vienna, Deptartment of Finance ------------------------------------------------------------------------ We., 26.04.2017, 11:30-12:30, seminar room 13 Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 2nd floor Diemo Dietrich (Newcastle University) http://finance.univie.ac.at/en/research/brown-bag-seminar/ "Bank Stability, Liquidity, and Asset Prices" (Brown Bag Seminar) For abstract or further details see: https://fam.tuwien.ac.at/contact/temp/20170426_abstract.pdf http://finance.univie.ac.at/en/research/brown-bag-seminar/ ------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 27.4.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Katia Colaneri (University of Perugia, IT) https://sites.google.com/site/katiacolaneri/ "Unit-linked life insurance policies: optimal hedging in partially observable market models" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 31 Mar '17

31 Mar '17

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 06.04.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Todor Bilarev (HU Berlin, DE) https://www2.mathematik.hu-berlin.de/~bilarev/ "Superhedging with transient impact" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 07.04.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Firdevs Ulus (Bilkent University) http://firdevs.bilkent.edu.tr/firdevs/Home.html "Utility Indifference Pricing under Incomplete Preferences" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Vienna Graduate School of Finance (VGSF) ------------------------------------------------------------------------ Fr., 07.04.2017, 11:00, room D3.0.221 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D3, ground floor Christian Julliard (London School of Economics) http://personal.lse.ac.uk/julliard/defaults/Home.html "An Information-Theoretic Asset Pricing Model" (Finance Research Seminar) For further details (including abstracts) see http://www.vgsf.ac.at/index.php?id=172 To find the room on the WU Campus search for "D3.0.221" on: http://gis.wu.ac.at/?roomShow=D3.0.221 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 24 Mar '17

24 Mar '17

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 30.3.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Daniel Bartl (University of Konstanz, DE) https://sites.google.com/site/danielbartlmath/ "Pointwise time-consistent convex expectations" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Finance, Banking and Insurance ------------------------------------------------------------------------ Th., 30.03.2017, 13:00, room SR D4.0.019 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor Doron Avramov (The Hebrew University of Jerusalem, IL) http://pluto.huji.ac.il/~davramov/ "Bonds, Stocks, and Sources of Mispricing" (Finance Brown Bag Seminar) For further details (including abstracts) see https://www.wu.ac.at/en/finance/research/brown-bag-seminar/summer-term-2017/ To find the room on the WU Campus search for "D4.0.019" on: http://gis.wu.ac.at/?roomShow=D4.0.019 ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 31.03.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Thorsten Schmidt (Universität Freiburg, DE) https://www.stochastik.uni-freiburg.de/professoren/schmidt "Unbiased estimation of risk" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ ======================================================================== IME 2017 ------------------------------------------------------------------------ 21st International Congress on Insurance: Mathematics and Economics & IME Educational Workshop Mon-Wed, July 3-5 & Thu-Fri, 6-7, 2017, Vienna, Austria https://fam.tuwien.ac.at/ime2017/ !!! Submission is open until April 7, 2017 !!! ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 10 Mar '17

10 Mar '17

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 16.3.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Hadrien De March (CMAP, École Polytechnique, FR) "Structure of martingale transport plans in general dimensions" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 06 Mar '17

06 Mar '17

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 9.3.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Johannes Heiny (Univ. of Copenhagen & Aarhus University, Denmark) http://www.math.ku.dk/english/staff/?pure=en/persons/477390/ "Limit theorems for the largest eigenvalues of the sample covariance matrix of a heavy-tailed time series" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 27 Feb '17

27 Feb '17

------------------------------------------------------------------------ Joint Seminar: TU Wien, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 2.3.2017, 16:30, seminar room DC rot 07 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, red section Denis Parganlija (TU Wien) http://hep.itp.tuwien.ac.at/~denisp/ "A New Physics-Based Approach to Studies of Financial Markets based on the Linear Sigma Model" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 20 Feb '17

20 Feb '17

------------------------------------------------------------------------ TU Wien, Research Unit Econometrics ------------------------------------------------------------------------ We., 22.2.2017, 14:00, Seminarraum DB gelb 04 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 4th floor, yellow section Bernard Hanzon (Dept. of Mathematics, University College Cork, Ireland) http://euclid.ucc.ie/hanzon/hanzon.htm "2EPT": Financial modelling using random variables with rational characteristic function" Abstract: Exponential-polynomial-trigonometric (EPT) functions form a general class of functions that has a long history (dating back at least to Euler and d'Alembert in the 1740's!), is well-studied and has a lot of nice properties. Here we report on the possibilities it supplies for usage as probability density functions of non-Gaussian random variables in financial modelling. Topics in the talk include: Representation of such functions (using so-called state space realization techniques from linear systems theory); Positivity/non-negativity issues; Extension to probability measures on the real line (2EPT): this will lead to the class of all probability measures on the real line with rational characteristic function; Characterization of the class of infinitely divisible 2EPT probability density functions and corresponding Levy processes and application in Finance and Financial option pricing. If time permits some remarks will be made about the link with related (discrete probability) GPT density functions and their estimation (where maximum likelihood estimation corresponds directly to Kullback-Leibler divergence minimization) and the potential usage for EPT and 2EPT estimation. A large part of this research is based on joint work with Conor Sexton(Barclays London) and Finbarr Holland (UCC). ------------------------------------------------------------------------ VieCo 2017 ------------------------------------------------------------------------ Vienna–Copenhagen Conference on Financial Econometrics March 9-11, 2017, Vienna, Austria http://vieco2017.univie.ac.at/ ------------------------------------------------------------------------ IME 2017 ------------------------------------------------------------------------ 21st International Congress on Insurance: Mathematics and Economics & IME Educational Workshop July 3-5 & 6-7, 2017, Vienna, Austria https://fam.tuwien.ac.at/ime2017/ ------------------------------------------------------------------------

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IME 2017 - 21st International Congress on Insurance: Mathematics and Economics
by Sandra Trenovatz 17 Feb '17

17 Feb '17

Dear Colleagues and Friends, we like to bring the following events to your attention: IME 2017: 21st International Congress on Insurance: Mathematics and Economics Mon-Wed, July 3-5, 2017 & IME Educational Workshop Thu-Fri, July 6-7, 2017 Vienna, Austria For further information (and our promotional video to announce the conference), please see below or visit the IME 2017 website: https://fam.tuwien.ac.at/ime2017/ We thank you for your interest and are looking forward to welcoming you in Vienna! With kind regards from the IME 2017 organisers ------------------------------------------------------------------ General Information The 21st International Congress on Insurance: Mathematics and Economics (IME 2017), scheduled July 3-5 2017, is one of the largest international meeting series in actuarial science. The aim of the conference is "to strengthen communication between individuals and groups who produce and apply research results in insurance and finance, aiming to integrate the research in both fields". The conference deliberations will be on the following themes: - Life Insurance; - Non-Life Insurance; - Reinsurance and Other Risk-Sharing Arrangements; - Risk Management; - Financial Modeling. In the framework of the Panel Discussion (July 3, 2017) with the topic "Ultra-low interest rates in insurance business" we offer the conference participants a platform for discussions with a number of renowned experts. The IME Educational Workshop (July 6-7, 2017) is a satellite event of the IME 2017, aiming at academics and practitioners and providing a general survey over the past and current research results and their practical applications. The topics of the workshop are: - Life Insurance, - Non-Life Insurance, - Claims Reserving Methods, - Computational Actuarial Science with R. ------------------------------------------------------------------ Location: TU Wien (Vienna University of Technology) Wiedner Hauptstraße 8-10, 1040 Wien, Austria Organized by: Actuarial Association of Austria TU Wien Gold Sponsors: msg life Austria GmbH Sparkassen Versicherung AG Silver Sponsor: Vienna Insurance Group AG (further sponsors are welcome) Invited Plenary Speakers at IME 2017 Congress: Corina Constantinescu-Loeffen (Univ. of Liverpool, UK) Catherine Donnelly (Heriot-Watt University, UK) Paul Embrechts (ETH Zurich, CH) Panel Discussion at IME 2017 Congress: Paul Embrechts (ETH Zurich, CH) Ralf Korn (TU Kaiserslautern, DE) Antoon Pelsser (Maastricht University, NL) Panelists from private sector t.b.a. Invited Plenary Speakers at IME 2017 Workshop: Anna Rita Bacinello (University of Trieste, IT) René Dahms (ETH Zurich, CH) Vincent Goulet (Université Laval, Québec, CA) Stefan Thonhauser (Graz University of Technology, AT) Scientific Committee Hansjörg Albrecher (University of Lausanne, CH) Phelim P. Boyle (University of Waterloo, CA) Jan Dhaene (KU Leuven, BE) Boualem Djehiche (KTH Stockholm, SE) Jose Garrido (Concordia University, Montreal, US) Marc Goovaerts (KU Leuven, BE) Rob Kaas (University of Amsterdam, NL) Stéphane Loisel (Université Lyon 1, FR) Thorsten Rheinländer (TU Wien, AT) Uwe Schmock (TU Wien, AT) Arnold Shapiro (Pennsylvania State University, USA) Elias Shiu (University of Iowa, USA) Mogens Steffensen (University of Copenhagen, DK) Qihe Tang (University of Iowa, US) Gordon Willmot (University of Waterloo, CA) Hailiang Yang (University of Hong Kong, HK) Local Organizing Committee Julia Eisenberg (TU Wien) Peter Grandits (TU Wien) Karin Hirhager (Actuarial Association of Austria) Manfred Rapf (Actuarial Association of Austria) Thorsten Rheinländer (TU Wien) Uwe Schmock (TU Wien) Sandra Trenovatz (TU Wien) Submissions The call for contributed talks and posters is open until April 7, 2017. https://fam.tuwien.ac.at/ime2017/registration.php Registration Early registration is possible until May 15, 2017. Registration is open until June 20, 2017. https://fam.tuwien.ac.at/ime2017/registration.php Continuing Professional Development (CPD) The attendance at IME 2017 (full week, July 3-7, 2017) qualifies for up to 30 CPD credits. About 18 CPD credits for the IME Conference (July 3-5) and 12 CPD credits for the IME Workshop (July 6-7). Details & schedule will follow soon. For any requests, do not hesitate to write an e-mail to the IME conference & workshop secretariat: ime2017(a)fam.tuwien.ac.at

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reminder for upcoming seminars and talks
by Sandra Trenovatz 22 Jan '17

22 Jan '17

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Tu., 24.01.2017, 10:30, SkyLounge, University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 12th floor Wendelin Werner (ETH Zürich, Switzerland) https://people.math.ethz.ch/~wewerner/ "Random cracks in space" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Announcement of talks organised by FAM @ TU Wien ------------------------------------------------------------------------ Tu., 24.01.2017, 16:30, seminar room DA grün 06, TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 6th floor, green section Zbigniew Palmowski (University of Wroclaw, Poland) http://prac.im.pwr.wroc.pl/~zpalma/ "On optimal dividend problem for an insurance risk models with surplus-dependent premiums" For further details (including abstracts) see https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------ The Budapest - Wien Dynamics seminar ------------------------------------------------------------------------ Th., 26.01.2016, 15:00-16:00, room 09.142 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 9th floor Jiri Cerny (University of Vienna) http://www.mat.univie.ac.at/~cerny/ "Maximum of Branching Random Walk in Random Environment" For further details (including abstracts) see http://mat.univie.ac.at/~zweimueller/BudWiSer/Budwiser.html ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Tu., 26.01.2017, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Dario Trevisan (University of Pisa, Italy) http://www.dm.unipi.it/cluster-pages/trevisan/ "A PDE approach to a 2-dimensional matching problem" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 27.10.2017, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Sara Biagini (LUISS G. Carli, Rome) http://docenti.luiss.it/biagini/ "The robust Merton problem of an ambiguity averse investor" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 16 Jan '17

16 Jan '17

------------------------------------------------------------------------ Veranstaltungsreihe "Actuarial Modelling Club" ------------------------------------------------------------------------ Tu., 17.01.2017, 16:30, FH 8 Nöbauer Hörsaal TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 2nd floor, yellow area Robert Schöftner (core dynamics GmbH, CH) "Kreditrisikomodellierung für Versicherer - Praktische Kalibrierung von Portfoliomodellen und Rating-Tools" (Actuarial Modelling Club) For further details (including abstracts) and registration see https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 19.01.2017, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Arnulf Jentzen (ETH Zurich, Switzerland) http://www.ajentzen.de/ "Stochastic algorithms for the approximative pricing of financial derivatives" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense at TU Wien ------------------------------------------------------------------------ Fr., 20.01.2017, 12:00, Zeichensaal 3 TU Wien, 1040, Wiedner Hauptstr. 8, Freihaus, 7th floor, green area Piet Porkert (FAM @ TU Wien) "Central and Non-Central Limit Theorems" For further details (including abstracts) see https://fam.tuwien.ac.at/events/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 09 Jan '17

09 Jan '17

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 12.01.2017, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor 16:30 Martin Huesmann (TU Wien, Austria / Univ. Bonn, Germany) http://wt.iam.uni-bonn.de/huesmann/home/ "Transport cost estimates for random measures in dimension one" (Vienna Seminar in Mathematical Finance and Probability) 17:30 Piet Porkert (TU Wien) "Upper bounds for the Wasserstein and Kolmogorov distances between random sums and their weak limits via Stein's method" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 12 Dec '16

12 Dec '16

------------------------------------------------------------------------ University of Vienna, Dept. of Statistics and Decision Support Systems ------------------------------------------------------------------------ Mo., 12.12.2016, 16:45-17:45, Lecture Hall 12 Uni Wien, 1090 Vienna, Oskar-Morgenstern-Platz 1, 2nd floor Panayotis Mertikopoulos (CNRS, Grenoble) http://mescal.imag.fr/membres/panayotis.mertikopoulos/home.html "On the convergence of gradient-like flows with noisy gradient input" (ISOR Colloquium) For further details (including abstracts) see https://isor.univie.ac.at/colloquia-seminars/ ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 15.12.2016, 16:30-18:00, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Piet Porkert (TU Wien) https://tiss.tuwien.ac.at/person/46153 "Upper bounds for the Wasserstein and Kolmogorov distances between random sums and their weak limits via Stein's method" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 05 Dec '16

05 Dec '16

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Tuesday(!), 6.12.2016, 16:30, seminar room DA grün 06A, TU Wien(!), 1040, Wiedner Hauptstr. 8, Freihaus, 6th fl., green section Kais Hamza (Monash University, Australia) "Alternative models in Finance" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts & homepage of speaker) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 27 Nov '16

27 Nov '16

------------------------------------------------------------------------ Veranstaltungsreihe "Actuarial Modelling Club" ------------------------------------------------------------------------ Tu., 29.11.2016, 16:30, GM 3 Vortmann Hörsaal TU Wien, 1060, Getreidemarkt 9, Bauteil BA - Plus Energie Büro Hochhaus, 2.OG Dr. Florian Gach (FMA, Vienna) Dr. Martin Hahn (FMA, Vienna) "The Smith-Wilson curve - Mathematics and supervision" (Actuarial Modelling Club) For further details (including abstracts) and registration see https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 01.12.2016, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Christian Bayer (WIAS, Berlin) https://www.wias-berlin.de/~bayerc/ "Smoothing the payoff for efficient computation of basket option" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 02.12.2016, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Claudia Ceci (Gabriele d’Annunzio’ University, Chieti – Pescara) http://www.unich.it/ugov/person/701 "On the Hedging Strategies for Defaultable Claims Under Incomplete Information" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Announcement of Public PhD Thesis Defense ------------------------------------------------------------------------ Fr., 02.12.2016, 14:30, Besprechungsraum, 9th floor University of Vienna, 1090, Oskar-Morgenstern-Platz 1 Claus Griessler (MSTOCH @ TU Wien) "Variants of c-cyclical monotonicity and optimality in transport problems" (Public PhD Thesis Defense) For further details (including abstracts) see http://mathematik.univie.ac.at/fileadmin/user_upload/f_mathematik/griessler… ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 18 Nov '16

18 Nov '16

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 24.11.2016, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Ludovic Tangpi (Universität Wien) "A convex duality approach to the FTAP" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 25.11.2016, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Petros Dellaportas (University College London) http://www.homepages.ucl.ac.uk/~ucakpde/ "Identifying and predicting jumps in financial time series" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Earlier announcement as we ask for registration: ------------------------------------------------------------------------ Veranstaltungsreihe "Actuarial Modelling Club" ------------------------------------------------------------------------ Tu., 29.11.2016, 16:30, GM 3 Vortmann Hörsaal TU Wien, 1060, Getreidemarkt 9, building BA, "Plus Energie Büro Hochhaus", 2nd floor Florian Gach, Martin Hahn (FMA, Austria) "The Smith-Wilson curve - Mathematics and supervision" (Actuarial Modelling Club) For further details (including abstracts) and registration see https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 12 Nov '16

12 Nov '16

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 17.11.2016, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Mladen Savov (Bulgarian Academy of Sciences, BG) "Bernestein-gamma functions and exponential functionals of Lévy processes" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 18.11.2016, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor 9:00 Mathias Beiglböck (TU Wien) http://file.statistik.tuwien.ac.at/beiglboeck/ "The Geometry of Model Uncertainty" (Research seminar - Statistics and Mathematics) 10:00 Ulrich Horst (HU Berlin) http://horst.qfl-berlin.de/ulrich-horst "Optimal Trade Execution with Stochastic Resilience in a Non-Markovian Framework" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Österreichische Nationalbank ------------------------------------------------------------------------ Fr., 18.11.2016, 11:00 OeNB-Geldzentrum, Garnisongasse 15, 1090 Vienna, 3rd floor Thomas Breuer (FH Vorarlberg) "Systematic Stress Tests under Model Risk" OENB Research seminar: https://www.oenb.at/en/Monetary-Policy/Research/research-seminars.html ------------------------------------------------------------------------ Doctoral Program Dissipation and Dispersion in Nonlinear PDEs ------------------------------------------------------------------------ Workshop on Forefront of PDEs: Modelling, Analysis and Numerics Mon–Wed, December 12-14, 2016 TU Wien, Vienna, Austria Registration until Nov. 30, 2016. For further details (including preliminary schedule) see: http://viennapde.tuwien.ac.at/events/workshop1612.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 04 Nov '16

04 Nov '16

------------------------------------------------------------------------ WU Wien, Institute for Finance, Banking and Insurance ------------------------------------------------------------------------ We., 09.11.2016, 12:00, room SR D4.0.039 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, ground floor Peter Gruber (University of Lugano, IT) http://www.people.usi.ch/gruberp/ "The Price of the Smile and Variance Risk Premia" (joint with Claudio Tebaldi and Fabio Trojani) (Finance Brown Bag Seminar) For further details (including abstracts) see https://www.wu.ac.at/en/finance/research/brown-bag-seminar/winter-term-2016… To find the room on the WU Campus search for "D4.0.039" on: http://gis.wu.ac.at/?roomShow=D4.0.039 ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 10.11.2016, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Martin Larsson (ETH Zurich) "Conditional infimum and recovery of monotone processes" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 30 Oct '16

30 Oct '16

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 03.11.2016, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Rémi Peyre (Universität Wien) "Fractional Brownian motion, financial mathematics and stopping times" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 24 Oct '16

24 Oct '16

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 27.10.2016, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Alexander Schnurr (University of Siegen, Germany) http://www.uni-siegen.de/fb6/src/schnurr/ "The Spectrum of Applications of the Probabilistic Symbol" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 17 Oct '16

17 Oct '16

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 20.10.2016, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Friedrich Hubalek (TU Wien) https://tiss.tuwien.ac.at/person/40760 "A binomial order book model and its Brownian limit" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ WU Wien, Institute for Statistics and Mathematics ------------------------------------------------------------------------ Fr., 21.10.2016, 09:00, room SR D4.4.008 WU Wien, 1020, Welthandelsplatz 1, WU Campus, building D4, 4th floor Peter Bank (TU Berlin) http://page.math.tu-berlin.de/~bank/ "Hedging with Temporary Price Impact" (Research seminar - Statistics and Mathematics) For further details (including abstracts) see http://www.wu.ac.at/en/statmath/resseminar/ To find the room on the WU Campus search for "D4.4.008" on: http://gis.wu.ac.at/?roomShow=D4.4.008 ------------------------------------------------------------------------ Österreichische Nationalbank ------------------------------------------------------------------------ Fr., 21.10.2016, 11:00, Veranstaltungssaal Österreichische Nationalbank, Otto-Wagner-Platz 3, 1090 Vienna Sven Seuken und Steffen Schuldenzucker University of Zurich https://www.ifi.uzh.ch/en/ce/people/seuken.html https://www.ifi.uzh.ch/en/ce/people/schuldenzucker.html "Clearing Payments in Financial Networks with Credit Default Swaps" OENB Research seminar: https://www.oenb.at/en/Monetary-Policy/Research/research-seminars.html ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 10 Oct '16

10 Oct '16

------------------------------------------------------------------------ FAM @ TU Wien: Lecture Series in Financial and Actuarial Mathematics ------------------------------------------------------------------------ Tu., 11.10.2016, 16:30, Seminarraum BD 02 TU Wien, 1060 Wien, Getreidemarkt 9, Bauteil BD Hoftrakt, 2nd floor Yuliya Mishura (National University of Kyiv, Ukraine) http://probability.univ.kiev.ua/?page=userinfo&person=myus&lan=en "Asymptotic methods and approximations on financial markets with stochastic volatility" (Vortragsreihe in Finanz- und Versicherungsmathematik) For further details (including abstracts) and registration see https://fam.tuwien.ac.at/vr/ ------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 13.10.2016, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Torben Krüger (IST Austria) http://http://pub.ist.ac.at/~tkrueger/ "Local eigenvalue statistics for random matrices with general short range correlations" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 02 Oct '16

02 Oct '16

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 6.10.2016, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Alexander Cox (University of Bath) http://www.maths.bath.ac.uk/~mapamgc/ "Model-independent pricing with additional information: a Skorokhod embedding approach" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 25 Sep '16

25 Sep '16

------------------------------------------------------------------------ Joint Seminar: TU Vienna, University of Vienna and WU Vienna ------------------------------------------------------------------------ Th., 29.09.2016, 16:30, seminar room SR09 University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 2nd floor Tilmann Blümmel (TU Wien) "Understanding the structure of No Arbitrage" (Vienna Seminar in Mathematical Finance and Probability) For further details (including abstracts) see https://fam.tuwien.ac.at/vs-mfp/ ------------------------------------------------------------------------ ======================================================================== IME 2017 - Save the date! ------------------------------------------------------------------------ 21st International Congress on Insurance: Mathematics and Economics Mon–Wed, July 3–5, 2017 TU Wien, Vienna, Austria https://fam.tuwien.ac.at/ime2017/ ------------------------------------------------------------------------

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reminder for upcoming seminars and talks
by Sandra Trenovatz 11 Sep '16

11 Sep '16

-------------------------------------------------------------------- Announcement of Public PhD Thesis Defense -------------------------------------------------------------------- Mo., 12.09.2015, 11:30, Besprechungsraum 9. Stock, University of Vienna, 1090, Oskar-Morgenstern-Platz 1, 9th floor Junjian Yang (University of Vienna) "Optimal Portfolios: Transaction Costs and Shadow Prices" (Public PhD Thesis Defense) For further details (including abstracts) see https://fam.tuwien.ac.at/events/temp/Yang.pdf --------------------------------------------------------------------

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reminder for upcoming events/conferences
by Sandra Trenovatz 22 Jul '16

22 Jul '16

Vienna is a beautiful city with a lot of attractions. We would like to draw your attention to some of them. ======================================================================== HFT 2016 ------------------------------------------------------------------------ High Frequency Trading - Curse or Blessing? September 22-23, 2016 University of Vienna, Austria http://hft2016.univie.ac.at/ Confirmed speakers: Torben G. Anderson (Northwestern University) Jean-Philippe Bouchaud (CFM, Paris) Jonathan Brogaard (University of Washington) Rama Cont (Imperial College London) Thierry Foucault (HEC Paris) Frank Hatheway (NASDAQ) Terrence Hendershott (UC Berkely) Andrei Kirilenko (Imperial College London) Pete Kyle (University of Maryland) Albert Menkveld (VU Amsterdam) Mark Podolskij (Aarhus University) Philip Protter (Columbia University) Chris Rogers (University of Cambridge) Mathieu Rosenbaum (University Paris 6) ======================================================================== SOfA 2016 ------------------------------------------------------------------------ Set-Optimization for Applications Third International Conference on Set-Valued Variational Analysis and Set Optimization with Applications in Economics, Finance, Statistics and Game Theory September 19-23, 2016 WU Wien, Vienna, Austria http://sofa2016.wu.ac.at/ Keynote speakers: Efe Ok, New York University, USA Matteo Rocca, University of Insubria, Italy ======================================================================== VCMF 2016 ------------------------------------------------------------------------ Vienna Congress on Mathematical Finance and VCMF Educational Workshop September 12-16, 2016 WU Wien, Vienna, Austria https://fam.tuwien.ac.at/vcmf2016/ Organized by: WU Wien - Vienna University of Economics and Business TU Wien - Vienna University of Technology University of Vienna Special thanks go to the sponsors of VCMF 2016: Gold Sponsors: Deloitte Erste Group Bank AG KPMG Austria Raiffeisen Bank International AG (RBI) Silver Sponsor: d-fine Austria GmbH Raiffeisen Capital Management (RCM) Plenary Speakers... ... at the Congress: Freddy Delbaen (ETH Zurich, CH) Hans Föllmer (Humboldt-Universität zu Berlin, DE) Peter Friz (Technische Universität Berlin, DE) Emmanuel Gobet (École Polytechnique, FR) Mathieu Rosenbaum (École Polytechnique & UPMC, FR) Josef Teichmann (ETH Zurich, CH) Almut Veraart (Imperial College London, UK) ... at the Educational Workshop: Nicole Bäuerle (Karlsruhe Institute of Technology, DE) Alexander McNeil (Heriot-Watt University, UK) Johannes Muhle-Karbe (University of Michigan, US) Peter Tankov (Université Paris-Diderot (Paris 7), FR) Invited Speakers at the Congress: Elisa Alos (Universitat Pompeu Fabra Barcelona, ES) Christian Bayer (WIAS, DE) Agostino Capponi (Columbia University, US) Patrick Cheridito (ETH Zurich, CH) Ulrich Horst (Humboldt-Universität zu Berlin, DE) Jan Kallsen (Christian-Albrechts-Universität zu Kiel, DE) Rüdiger Kiesel (Universität Duisburg-Essen, DE) Dörte Kreher (Humboldt-Universität zu Berlin, DE) Antonis Papapantoleon (TU Berlin, DE) Philipp Schönbucher (Financialytic GmbH, DE) Jorge P. Zubelli (IMPA, BR) On the first day of the congress there will be a panel discussion:: "Role of mathematical models in financial risk management and regulation (broadly defined)" Panellists are representatives from the regulators, the industry and the academic world: - Gabriela de Raaij Oesterreichische Nationalbank (OeNB) - Thomas Steiner Austrian Treasury (OeBFA) - Johann Strobl Raiffeisen Bank International AG (RBI) - Josef Teichmann Full Professor of Financial Mathematics, ETH Zürich Moderator: - Walter Schachermayer Senior fellow at the Institute for Theoretical Studies, ETH Zürich, Full Professor of Mathematics, University of Vienna For further details see the program: https://fam.tuwien.ac.at/vcmf2016/program.php Submission of Poster Presentations is still possible: https://fam.tuwien.ac.at/vcmf2016/registration.php ======================================================================== -- FAM-office: Sandra Trenovatz <fam(a)fam.tuwien.ac.at> Financial and Actuarial Mathematics (FAM), https://fam.tuwien.ac.at/ TU Wien, Wiedner Hauptstrasse 8/105-1, 1040 Vienna, Austria (DVR: 0005886)

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